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Economic foundation of asset price processes

Economic foundation of asset price processes

자료유형
단행본
개인저자
Luders, Erik.
서명 / 저자사항
Economic foundation of asset price processes / Erik Luders.
발행사항
Heidelberg :   Physica-Verlag ,   c2004.  
형태사항
xii, 121 p. : ill. ; 24 cm.
총서사항
ZEW economic studies ; 24
ISBN
3790801496
서지주기
Includes bibliographical references (p. 113-121).
일반주제명
Prices -- Econometric models. Stocks -- Prices -- Econometric models. Rate of return -- Econometric models.
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055 0 1 ▼a HB221
055 0 0 ▼a HB221 ▼b L83 2004
082 1 4 ▼a 338.5 ▼2 14
090 ▼a 338.5 ▼b L432e
100 1 ▼a Luders, Erik.
245 1 0 ▼a Economic foundation of asset price processes / ▼c Erik Luders.
260 ▼a Heidelberg : ▼b Physica-Verlag , ▼c c2004.
300 ▼a xii, 121 p. : ▼b ill. ; ▼c 24 cm.
440 0 ▼a ZEW economic studies ; ▼v 24
504 ▼a Includes bibliographical references (p. 113-121).
650 0 ▼a Prices ▼x Econometric models.
650 0 ▼a Stocks ▼x Prices ▼x Econometric models.
650 0 ▼a Rate of return ▼x Econometric models.

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 338.5 L432e 등록번호 111318285 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

1 Introduction.- 2 Arbitrage-Free Markets and the Pricing Kernel.- 2.1 Implications of Arbitrage-Free Markets.- 2.2 The Representative Agent Economy.- 2.3 Summary of Chapter 2.- 3 The Information Process.- 3.1 Characterization of the Economy.- 3.2 Complete Information and Constant Coefficients of the Book Value Process.- 3.3 Complete Information and Random Coefficients of the Book Value Process.- 3.3.1 Random Drift of the Book Value Process.- 3.3.2 Stochastic Volatility of the Book Value Process.- 3.4 Unknown Drift of the Book Value Process.- 3.5 Summary of Chapter 3.- 4 Literature Review.- 4.1 Empirical Literature.- 4.1.1 Asset Returns.- 4.1.2 Option Prices.- 4.1.3 Summary.- 4.2 Theoretical Literature.- 4.2.1 The Viability Discussion.- 4.2.2 Constructive Asset Pricing Models.- 4.2.3 Summary.- 4.3 Summary of Chapter 4.- 5 Asset Returns with Non-Constant Elasticity of the Pricing Kernel.- 5.1 Implications for Asset Returns in Continuous-Time.- 5.2 Implications for Asset Returns in Discrete-Time.- 5.2.1 Time-Homogeneity.- 5.2.2 Time-Series Properties of Asset Returns.- 5.3 The Explanatory Power of Multiples.- 5.4 Summary of Chapter 5.- 6 Analytical Asset Price Processes.- 6.1 A New Class of Pricing Kernels.- 6.1.1 General Characterization of Asset Prices.- 6.1.2 Example.- 6.2 HARA-Preferences.- 6.2.1 The Standard Information Process.- 6.2.2 Displaced Diffusion.- 6.2.3 Truncated Displaced Diffusion.- 6.3 Summary of Chapter 6.- 7 Asset Returns Given Stochastic Volatility of the Information Process.- 7.1 The Model.- 7.2 Summary of Chapter 7.- 8 Summary.- A Appendix.- A.1 Theorem of Feynman-Kac.- A.2 Lemma 2 of Decamps and Lazrak.- A.3 Technical Discussion of Viability in Two-Factor Models.- A.4 Proof of Lemma 1.- A.5 Proof of Corollary 1.- A.6 Proof of Proposition 4.- A.7 Derivation of Equation 6.3.- A.8 Proof of Proposition 8.- A.9 Derivation of Equation 6.17.- A.10 Proof of Corollary 2.- A.11Proof of Proposition 9.- A.12 Proof of Proposition 10.- B Appendix: Figures.- References.


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